FMX | Connect (Reported 5/06/2011)
The following is a report of Gold Option’s activity in the Over-The- Counter and Exchange traded venues. Information is compiled and summarized below.
Summary
June Gold settled at $1491.60 per troy ounce, a gain of $10.20 for the day. Options went bid for the call after gold reversed its downward trajectory.
Commentary & Analysis:
Gold gapped higher overnight with buyers emerging in the wake of Thursday’s tumultuous afternoon session. Early morning was marked by put selling and call buying as fences rotated back towards the call. Speculators bought the dip across the term structure. The February 1750/2000 Call spread traded in size. Other players preferred buying June. The June 1500 Call and 1600 Call were liquidated in size. June volatility finished lower on the day, both because of how of it trading above in yesterday’s session and because of traders marking their position for the weekend. Today’s session was chaotic with plenty of 2-way business. Skew was volatile throughout the day and while it ultimately moved toward the calls, it has demonstrated a capacity to spike very quickly on a futures move. Bulls had to feel better after a rough week but should take note that June futures could not surpass the 1500 level, a key psychological area. From a technical standpoint gold remains very vulnerable, we would not be surprised if the bear move resumes next week.
Active Options
M 1450 P
M 1500 C, M 1600 C
N 1430 P
G 1750/2000 C. sprd
ATM Volatility Curve:
As of 4:00 P.M.
Volatility Smile:
***From NYMEX Settlement
End of Day Straddles
| GC | | | |
| | Future | Bid | Offer |
| M11 | 1490 | 48 | 52 |
| N11 | 1495 | 81 | 85 |
| Q11 | 1495 | 103 | 107 |
| V11 | 1495 | 144 | 148 |
| Z11 | 1495 | 175 | 179 |
| G12 | 1495 | 209 | 213 |
| J12 | 1500 | 238 | 242 |
| M12 | 1500 | 266 | 270 |
As of 4:00 P.M.
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